Fast random normal distribution generator [closed]

Question

I'm currently expanding a simulation model that relies heavily upon random normal distributed numbers. Currently it uses std::normal_distribution, but it's too slow.

Is there a way to implement a fast random normal distribution? The values don't have to be unique as long as it follows a normal distribution.

Answer 1

The Ziggurat generator by Marsaglia and Tsang (JSS, 2000) has been seen to be both statistically sound and fast. You do however want the revised Ziggurat normal generator which uses a better underlying uniform generator as per the comment of Leong et al (JSS, 2005).

I have the original papers as well as a few review papers in this GitHub directory which is part of a Ziggurat C++ implementation for R.